Accruals calculation based on actual RFR fixings

Hi Opengamma Strata,

Please advise if you are planning to implement accruals calculation based on actual RFR fixings.

For a trade with start date = 09-Feb-21 and valuation date = 10-Feb-21, we should calculate accrued interest based on the fixing @ 09-Feb-21, however OG Strata seem to calculate the rate based on the projected rate from the curve for the first period (probably to be in line with swaps against LIBOR).

This is not market standard, but please advise if you are planning to amend it soon given the Libor transition to RFR.

Thank you,

Hi Sandra,

The computation of overnight coupons in the composition period is done in the ForwardOvernightCompoundedRateComputationFn. The code will use the fixing if available in the fixing time series, see method pastCompositionFactor. If past fixing are not available, a PricingException is thrown. There is one border line case, when the valuation is on the publication date, the fixing may be already available or not. If available it is used and if not, the forward is used. Note that a lot of RFR are published T+1 (the system knows about publication date, see getPublicationDateOffset in OvernightIndex). So in your example, on 10-Feb, the system will not complain for the unavailable fixing for the period starting on 9-Feb if the underlying index is T+1. But if you provide it in the time series, it will use it.